spot_to_df_fcn: Create a discount factor function from a yield curve

In brianboonstra/ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

Description

Use a piecewise constant approximation to the given spot curve to generate a function capable of returning corresponding discount factors

Usage

spot_to_df_fcn(yield_curve)

Arguments

yield_curve

A data.frame with numeric columns time (in increasing order) and rate (in natural units)

Value

A function taking two time arguments, which returns the discount factor from the second to the first

Examples

disct_fcn = ragtop::spot_to_df_fcn(
  data.frame(time=c(1, 5, 10, 15),
             rate=c(0.01, 0.02, 0.03, 0.05)))
print(disct_fcn(1, 0.5))

brianboonstra/ragtop documentation built on March 7, 2020, 2:23 p.m.